论文检索

同时受扰动与观测误差影响的自回归变量预测AI 解读

Past work on prediction formulas for time series, e.g., that of Wiener and Yaglom, has used powerful and general spectral techniques that result in integral formulas difficult to evaluate in practical cases. In this paper the more direct, less powerful approach developed by Muth produces useful and specific results for a broad class of cases that includes virtually every case of a higher order Markov process observed with error. The results provide plausible theoretical…

非平稳时间序列中多项预测器与控制器的多项式投影性质AI 解读

Summary Box and Jenkins (1962, 1963) introduce a practical predictor for handling non-stationary types of time series and they show it to be optimal for a particular class of stochastic processes. As a consequence the predictor can be shown to follow stochastic as well as deterministic polynomial trends in the series. The present paper sets out to evaluate the bias term in the expression for the error when applying this predictor, and shows how the bias can be reduced…

变化季节模式的估计AI 解读

A model is constructed for an economic time series with a changing seasonal pattern. This represents the seasonal component as itself a stationary time series with almost all of the spectral mass very near to the six (angular) frequencies, (πj/6). The problem of “predicting” this seasonal component at the time point n – μ (μ positive, zero or negative) is then solved on the basis of a reasonable model for this spectrum. The unspecified parameters are basically the signal to…

消费者态度、股票价格与非态度变量的预测能力AI 解读

This article reports on tests of the comparative usefulness of consumer attitudes, stock prices, and some non-attitudinal variables for short-term forecasting of the value and number of motor vehicle sales. Both levels and changes of the variables are analyzed for a variety of time spans between 1952 and 1962. The work suggests that stock prices and some non-attitudinal variables, like the length of the work week, share the predictive ability of consumer attitudes, except…

消费者态度、股票价格与非态度变量的预测能力AI 解读

This article reports on tests of the comparative usefulness of consumer attitudes, stock prices, and some non-attitudinal variables for short-term forecasting of the value and number of motor vehicle sales. Both levels and changes of the variables are analyzed for a variety of time spans between 1952 and 1962. The work suggests that stock prices and some non-attitudinal variables, like the length of the work week, share the predictive ability of consumer attitudes, except…

误差自相关回归模型的贝叶斯分析AI 解读

In this paper, regression models with error terms generated by a first order autoregressive scheme are analyzed from a Bayesian point of view. Methods are developed for computing posterior distributions of regression coefficients and the parameter of the autoregressive process. The relationship of our approach to sampling theory approaches is briefly discussed.

经济时间序列的最小方差线性无偏季节调整AI 解读

A statistical theory based on the general linear statistical model is developed for seasonal adjustment of economic (and other) time series. A method for seasonal adjustment may be represented as taking place in two steps. The first step is to estimate the unknown parameters of the seasonal component of the series; the second step is to remove the estimated seasonal component from the set of observations. For the unique minimum variance, linear, unbiased method for seasonal…

方差波动下的谱分析AI 解读

Summary The present paper is concerned with the following questions: (1) If a random sequence Xt (t = 0, ± 1, ± 2, …) is not second-order stationary, can one meaningfully define a spectral density function ? (2) If so, can one hope to consistently estimate it ? For the special case of a random sequence of form Xt=∑0pajσt−jηt−j, where the ηt are independently, normally, distributed with zero means and unit variances and the aj and σt-j are non-random finite quantities, it is…

降雨发生的概率模型AI 解读

Summary A probability model for the occurrence of wet and dry days at Tel Aviv is proposed as an alternative to an earlier one given by Gabriel and Neumann. The new model, which assumes exponential distributions for the lengths of spells of continuous dryness or continuous rain, is found to fit rainfall data for Tel Aviv well, and to represent certain conditional probabilities more satisfactorily than that of Gabriel and Neumann.

季节调整程序的谱分析AI 解读

This paper discusses one of the uses to which two powerful techniques of modem time series analysis may be put in economics: namely, the study of the precise effects of seasonal adjustment procedures on the characteristics of the series to which they are applied. Since most economic data appearing at intervals of less than a year are to a greater or lesser extent manufactured from more basic time series, the problem of assessing the effects of the manufacturing processes…

季节性数据的回归分析AI 解读

When economists apply regression to monthly or quarterly data to estimate structural parameters, they generally either (a) use seasonally adjusted data or (b) use unadjusted data and allow for seasonal shifts in the intercept term. Starting from a more general model than either of these procedures, this paper spells out their implicit assumptions and derives expressions for the specification bias arising from incorrect assumptions. The expected values of the estimates in (a)…

存在谐波分量时的谱密度函数估计AI 解读

Summary Consider a stationary process of the form Xt = Yt + Zt, where Yt is a linear process with a continuous spectrum, and Zt is a finite sum of harmonic components. We discuss two methods of estimating the spectral density function of Yt. In one method we first estimate the autocovariance function of Yt by “correcting” the sample autocovariance function of Xt, and then form the usual “smoothed” Fourier transform. In the other approach, we estimate the spectral density…

准线性趋势与季节变动的估计AI 解读

Given a series of quarterly data, estimates may be obtained for both trend and seasonal variation by minimising the sum, or more generally a linear combination, of two sums of squares, one of them based on the second differences between trend values, the other on the deviations of the observations from seasonally corrected trend values. Exact solutions are obtained for 8 and 12 observations, and an approximate solution applicable to longer time series is given. A numerical…

十年消费者态度调查的预测表现AI 解读

Since 1951 the Survey Research Center has conducted surveys of consumer optimism and confidence two to four times a year in an attempt to improve methods of forecasting discretionary spending by consumers. The predictive success of these attitude surveys is tested here in conjunction with a number of financial variables by means of time series regressions covering the years 1952–61. The results indicate that attitude measurements contain information not obtainable from a…

经济时间序列的季节调整与多元回归分析AI 解读

The logical implications of certain simple consistency requirements for appraising alternative procedures for seasonal adjustment constitute the first problem considered in this paper. It is shown that any sum preserving technique of seasonal adjustment that satisfies the quite reasonable requirements of orthogonality and idempotency can be executed on the electronic computer by standard least squares regression procedures. Problems involved in utilizing seasonally adjusted…

适用于非平稳时间序列的快速序列相关检验AI 解读

Goodman's simplified runs test is examined as a test for serial correlation and is found to be both much quicker to apply than other available tests and to be appropriate for use with non-stationary data provided that the series has no trend in mean. Approximations to the power of the test are discussed and it is found that the power is acceptable for samples of size 100 or more. Particular consideration is given to the application of the test to economic data.

适用于非平稳时间序列的快速序列相关检验AI 解读

Goodman's simplified runs test is examined as a test for serial correlation and is found to be both much quicker to apply than other available tests and to be appropriate for use with non-stationary data provided that the series has no trend in mean. Approximations to the power of the test are discussed and it is found that the power is acceptable for samples of size 100 or more. Particular consideration is given to the application of the test to economic data.

高斯移动平均过程残差方差异质性的检验AI 解读

SUMMARY A large sample test for variance heterogeneity in the residuals of a Gaussian moving average is presented, based upon periodogram-ratios of the data. For long series, it is shown that neither the null-hypothesis nor alternative-hypothesis behaviour of the test statistic is dependent upon the coefficients of the moving average (and these need not be estimated in advance). The alternative-hypothesis behaviour of the test statistic is discussed in terms of the…

点过程的谱分析AI 解读

SUMMARY The spectral analysis of stationary point processes in one dimension is developed in some detail as a statistical method of analysis. The asymptotic sampling theory previously established by the author for a class of doubly stochastic Poisson processes is shown to apply also for a class of clustering processes, the spectra of which are contrasted with those of renewal processes. The analysis is given for two illustrative examples, one an artificial Poisson process,…

马尔可夫链状态频数的二次式与二阶二元链AI 解读

SUMMARY Let nr be the frequency of the state r in a segment of a regular ergodic Markov chain. It is shown how to obtain the asymptotic distribution of any quadratic expression in the nr’s. The method is especially convenient where the Markov chain is produced by a random motion on a circle. An explicit formula is given for the asymptotic variance of the number of 0’s in a binary Markov chain of order 2.

销售预测与库存周期AI 解读

INVENTORY CYCLE analysis has so far assumed sales forecasts by firms-projecting a constant multiple of either the latest level, or the latest rate of change, of sales into the future. This structure is adequate to show the way in which expectations and the level of business activity interact, but it has a certain ring of implausibility. Other ways of forecasting sales change the behavior of the model, so we may ask if stability is particularly sensitive to the technique…

满足线性约束的一组时间序列的分析方法AI 解读

Techniques are presented for decomposing each series in a set of time series into trend, seasonal, and non-seasonal, short-run components. The decomposition is such that if the original set of series satisfy a linear condition, the set of components of each type satisfy the same linear condition. This makes it possible to assess the contributions of different industries, commodities, etc., to different types of movements of weighted or unweighted aggregates. Additional…

受线性约束的一组时间序列的分析方法AI 解读

Techniques are presented for decomposing each series in a set of time series into trend, seasonal, and non-seasonal, short-run components. The decomposition is such that if the original set of series satisfy a linear condition, the set of components of each type satisfy the same linear condition. This makes it possible to assess the contributions of different industries, commodities, etc., to different types of movements of weighted or unweighted aggregates. Additional…

经济时间序列中季节变动的估计AI 解读

The problem of estimating the seasonal component in an economic time series is discussed and it is pointed out that the effects of any moving average operator on the seasonal component may be easily reversed so that one may use any suitable operator to remove the trend. The computational procedure is to estimate the seasonal index for the trend free series and to convert this index into a seasonal index for the original series by taking 12 term moving averages of this series…